COT data 24 July 2016

Looks like a lot of leveraged money chasing the highs while Commercials cycling short (this applies to equities and treasuries) Annotated chart of my thoughts on the Dollar Index positioning: Advertisements

Calendar Strategy: Fed Days

Originally posted on Systematic Investor:
UPDATE: I was pointed out a problem with original post due to look ahead bias introduced by prices > SMA(prices,100) statement. In the calendar strategy logic I did not use a usual lag of one day because important days are known before hand. However, the prices > SMA(prices,100) statement should…

some statistical applications with R

I haven’t written a blog post in ages but I am finished my exams now and have more time to put my studies to work. I wanted to share how easy it is to get started with R and to produce some simple charts. To do a simple regression and a chart with bollinger bands,…

US Treasuries – ZN, ZT – Commitment of Traders

Charts re-designed to show price, COT positioning, volume and open interest. (as a result of putting 2 charts together the volume and open interest does not line up exactly when I change the selections) Not much commentary but some interesting things on these two charts: US Ten Year note showing large pick up in volume…

14 Jan 2016

In times like these I have learned to zoom out to the higher timeframes: I am looking at the similarities between ES and DAX – both are currently trading around the SEP/OCT balance. Block out all the noise and second guessing and that is what is there. If it can hold above that then good,…